VIX pricing in the rBergomi model under a regime switching change of measure (Q6158433)
From MaRDI portal
scientific article; zbMATH DE number 7698406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VIX pricing in the rBergomi model under a regime switching change of measure |
scientific article; zbMATH DE number 7698406 |
Statements
VIX pricing in the rBergomi model under a regime switching change of measure (English)
0 references
20 June 2023
0 references
stochastic volatility
0 references
fractional Brownian motion
0 references
VIX smile
0 references
0 references
0 references
0 references
